Risk is an important consideration in a number of business areas, such as finance, banking, and others. Various ways of quantifying risk (e.g., risk measures) may be used, including the value at risk measure (VaR) and the Conditional Value at Risk measure (CVA or CVaR). Calculating VaR or CVA may include performing left and/or right tail non-parametric functions (e.g., “tail calculations”).
Often, risk may be used in real-time reporting and/or limit checking. Thus, efficiency and performance when calculating risk measures may be of particular importance. When working with large datasets and/or calculating numerous risk measures, conventional methods of performing tail calculations may impose substantial computational cost on the overall computation of risk measures. For instance, some computational methods of calculating risk measures may spend approximately 20% or more of the overall time on tail-related computations.